We consider a controlled state equation of parabolic type on the halfline (0,+∞) with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon and infinite horizon optimal control problem related by means of backward stochastic differential equations. © 2010 Springer Science+Business Media, LLC.
Masiero, F. (2010). A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control. APPLIED MATHEMATICS AND OPTIMIZATION, 62(2), 253-294 [10.1007/s00245-010-9103-z].
A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control
MASIERO, FEDERICA
2010
Abstract
We consider a controlled state equation of parabolic type on the halfline (0,+∞) with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon and infinite horizon optimal control problem related by means of backward stochastic differential equations. © 2010 Springer Science+Business Media, LLC.
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